Journal of Risk and Insurance

This academic risk management and insurance journal provides research in industrial organization of insurance markets, management of risks in the private and public sectors, insurance regulation and more.

Articles from Vol. 76, No. 3, September

Catastrophe Bonds and Reinsurance: The Competitive Effect of Information-Insensitive Triggers
ABSTRACT We identify a new benefit of index or parametric triggers. Asymmetric information between reinsurers on an insurer's risk affects competition in the reinsurance market: reinsurers are subject to adverse selection, since only high-risk insurers...
Catastrophe Risk Financing in the United States and the European Union: A Comparative Analysis of Alternative Regulatory Approaches
ABSTRACT The regulation of insurance companies in the United States and the European Union (EU) continues to evolve in response to market forces and the changing nature of risk but with somewhat different philosophies and at different rates. One...
Control and Out-of-Sample Validation of Dependent Risks
ABSTRACT This article introduces a framework to determine and allocate capital reserves to multiple dependent business lines, with or without overall reserve level constraints. The proposed methodology emphasizes the role of the loss function in...
Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk-Transfer Solutions
ABSTRACT One of the most significant economic developments of the past decade has been the convergence of the financial services industry, particularly the capital markets and (re)insurance sectors. Convergence has been driven by the increase in...
Copulas: A Personal View
ABSTRACT Copula modeling has taken the world of finance and insurance, and well beyond, by storm. Why is this? In this article, I review the early start of this development, discuss some important current research, mainly from an applications point...
Hybrid Cat Bonds
ABSTRACT Natural catastrophes attract regularly the media attention and have become a source of public concern. From a financial viewpoint, they represent idiosyncratic risks, diversifiable at the world level. But for various reasons, reinsurance...
Introduction to the SCOR-JRI Special Issue on New Forms of Risk Financing and Risk Engineering
The world's insurance markets face growing exposure to catastrophic risk as well as rising loss exposure from legal liability, marine, aircraft, and other risk exposures. In response, global reinsurers have raised significant amounts of new capital,...
Modeling and Management of Nonlinear Dependencies-Copulas in Dynamic Financial Analysis
ABSTRACT We study the influence of nonlinear dependencies on a non-life insurer's risk and return profile. To achieve this, we integrate several copula models in a dynamic financial analysis framework and conduct numerical tests. We also test risk...
Modeling Mortality with Jumps: Applications to Mortality Securitization
ABSTRACT In this article, we incorporate a jump process into the original Lee-Carter model, and use it to forecast mortality rates and analyze mortality securitization. We explore alternative models with transitory versus permanent jump effects...
Nonlinear Cointegration Relationships between Non-Life Insurance Premiums and Financial Markets
ABSTRACT The aim of this article is to study the adjustment dynamics of the non-life insurance premium (NLIP) and test its dependence to the financial markets in five countries (Canada, France, Japan, the United Kingdom, and the United States)....
Optimal Reinsurance Arrangements under Tail Risk Measures
ABSTRACT Regulatory authorities demand insurance companies control their risk exposure by imposing stringent risk management policies. This article investigates the optimal risk management strategy of an insurance company subject to regulatory constraints....
Securitization, Insurance, and Reinsurance
ABSTRACT This article considers strengths and weaknesses of reinsurance and securitization in managing insurable risks. Traditional reinsurance operates efficiently in managing relatively small, uncorrelated risks and in facilitating efficient information...

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